FAIR VALUE MEASUREMENTS (Tables)

6 Months Ended

Jun. 30, 2023

Fair Value Disclosures [Abstract]

FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS

The tables below present the financial instruments measured at fair value on a recurring basis for the periods indicated:

	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Fair value based on NAV practical expedient		Total fair value
At June 30, 2023
Assets
Fixed maturities, available for sale
U.S. government and agency	$	2,756,539	$	35,473	$	—	$	—	$	2,792,012
Non-U.S. government	—		586,612		—		—		586,612
Corporate debt	—		4,198,562		129,046		—		4,327,608
Agency RMBS	—		1,403,654		—		—		1,403,654
CMBS	—		871,107		—		—		871,107
Non-agency RMBS	—		134,101		—		—		134,101
ABS	—		1,300,556		—		—		1,300,556
Municipals	—		148,747		—		—		148,747
	2,756,539		8,678,812		129,046		—		11,564,397
Equity securities
Common stocks	3,046		—		—		—		3,046
Preferred stocks	2		4,982		—		—		4,984
Exchange-traded funds	299,165		—		—		—		299,165
Bond mutual funds	—		289,497		—		—		289,497
	302,213		294,479		—		—		596,692
Other investments
Multi-strategy funds	—		—		—		26,126		26,126
Direct lending funds	—		—		—		248,834		248,834
Private equity funds	—		—		—		272,249		272,249
Real estate funds	—		—		—		302,945		302,945
CLO-Equities	—		—		4,877		—		4,877
Other privately held investments	—		—		115,048		—		115,048
	—		—		119,925		850,154		970,079
Short-term investments	—		46,282		—		—		46,282
Other assets
Derivative instruments (refer to Note 5)	—		3,627		—		—		3,627
Total Assets	$	3,058,752	$	9,023,200	$	248,971	$	850,154	$	13,181,077
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	11,382	$	—	$	—	$	11,382
Cash-settled awards (refer to Note 8)	—		—		—		—		—
Total Liabilities	$	—	$	11,382	$	—	$	—	$	11,382

	Quoted prices in active markets for identical assets (Level 1)		Significant other observable inputs (Level 2)		Significant unobservable inputs (Level 3)		Fair value based on NAV practical expedient		Total fair value
At December 31, 2022
Assets
Fixed maturities, available for sale
U.S. government and agency	$	2,600,636	$	38,694	$	—	$	—	$	2,639,330
Non-U.S. government	—		562,029		—		—		562,029
Corporate debt	—		4,136,452		119,104		—		4,255,556
Agency RMBS	—		1,202,785		—		—		1,202,785
CMBS	—		947,778		—		—		947,778
Non-agency RMBS	—		133,534		—		—		133,534
ABS	—		1,429,527		—		—		1,429,527
Municipals	—		156,355		—		—		156,355
	2,600,636		8,607,154		119,104		—		11,326,894
Equity securities
Common stocks	7,473		—		—		—		7,473
Preferred stocks	72		—		—		—		72
Exchange-traded funds	269,806		—		—		—		269,806
Bond mutual funds	—		207,902		—		—		207,902
	277,351		207,902		—		—		485,253
Other investments
Multi-strategy funds	—		—		—		32,616		32,616
Direct lending funds	—		—		—		258,626		258,626
Private equity funds	—		—		—		265,836		265,836
Real estate funds	—		—		—		298,499		298,499
CLO-Equities	—		—		5,016		—		5,016
Other privately held investments	—		—		136,158		—		136,158
	—		—		141,174		855,577		996,751
Short-term investments	—		70,310		—		—		70,310
Other assets
Derivative instruments (refer to Note 5)	—		37,682		—		—		37,682
Total Assets	$	2,877,987	$	8,923,048	$	260,278	$	855,577	$	12,916,890
Liabilities
Derivative instruments (refer to Note 5)	$	—	$	703	$	—	$	—	$	703
Cash-settled awards (refer to Note 8)	—		4,792		—		—		4,792
Total Liabilities	$	—	$	5,495	$	—	$	—	$	5,495

LEVEL 3 FAIR VALUE MEASUREMENT INPUTS

The following table quantifies the significant unobservable inputs used in estimating fair values at June 30, 2023 of investments classified as Level 3 in the fair value hierarchy:

	Asset fair value		Valuation technique	Unobservable input	Amount / Range	Weighted average
Other investments - CLO-Equities	$	4,877	Discounted cash flow	Default rate	4.5%	4.5%
				Loss severity rate	50.0%	50.0%
				Collateral spread	3.0%	3.0%
				Estimated maturity date	5 years	5 years
Other investments - Other privately held investments	$	17,813	Discounted cash flow	Discount rate	7.9%	7.9%
				Default rate	0.5%	0.5%
				Loss absorption yield	1.0%	1.0%
				Estimated maturity date	1-2 years	2 years

Note: Fixed maturities of $129 million that are classified as Level 3 are excluded from the above table as these securities are priced using broker-dealer quotes. In addition, other privately held investments of $97 million that are classified as Level 3 are excluded from the above table as these investments are priced using capital statements received from investee companies.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, ASSETS

The following table presents changes in Level 3 for financial instruments measured at fair value on a recurring basis:

	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included  in net income(1)		Included in OCI (2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses) (3)
Three months ended June 30, 2023
Fixed maturities, available for sale
Corporate debt	$	130,427	$	—	$	—	$	(3,304)	$	(1,354)	$	5,551	$	—	$	(2,274)	$	129,046	$	—
	130,427		—		—		(3,304)		(1,354)		5,551		—		(2,274)		129,046		—
Other investments
CLO-Equities	5,019		—		—		493		—		—		—		(635)		4,877		493
Other privately held investments	140,953		—		—		(6,231)		—		14,858		(34,532)		—		115,048		(14,314)
	145,972		—		—		(5,738)		—		14,858		(34,532)		(635)		119,925		(13,821)
Total assets	$	276,399	$	—	$	—	$	(9,042)	$	(1,354)	$	20,409	$	(34,532)	$	(2,909)	$	248,971	$	(13,821)
Other liabilities
Derivative instruments	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Total liabilities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Six months ended June 30, 2023
Fixed maturities, available for sale
Corporate debt	$	119,104	$	—	$	—	$	(3,311)	$	(170)	$	24,461	$	—	$	(11,038)	$	129,046	$	—
	119,104		—		—		(3,311)		(170)		24,461		—		(11,038)		129,046		—
Other investments
CLO-Equities	5,016		—		—		903		—		—		—		(1,042)		4,877		903
Other privately held investments	136,158		—		—		(5,895)		—		19,317		(34,532)		—		115,048		(13,976)
	141,174		—		—		(4,992)		—		19,317		(34,532)		(1,042)		119,925		(13,073)
Total assets	$	260,278	$	—	$	—	$	(8,303)	$	(170)	$	43,778	$	(34,532)	$	(12,080)	$	248,971	$	(13,073)
Other liabilities
Derivative instruments	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Total liabilities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—

(1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized gains (losses) relating to assets and liabilities held at the reporting date.

	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included  in net income(1)		Included in OCI(2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses)(3)
Three months ended June 30, 2022
Fixed maturities, available for sale
Corporate debt	$	60,890	$	—	$	—	$	—	$	(3,828)	$	15,768	$	—	$	—	$	72,830	$	—
	60,890		—		—		—		(3,828)		15,768		—		—		72,830		—
Other investments
CLO-Equities	4,881		—		—		803		—		—		—		(876)		4,808		803
Other privately held investments	115,474		—		—		(5,110)		—		7,606		—		(2,000)		115,970		(5,110)
	120,355		—		—		(4,307)		—		7,606		—		(2,876)		120,778		(4,307)
Total assets	$	181,245	$	—	$	—	$	(4,307)	$	(3,828)	$	23,374	$	—	$	(2,876)	$	193,608	$	(4,307)
Other liabilities
Derivative instruments	$	5,074	$	—	$	—	$	(366)	$	—	$	—	$	—	$	—	$	4,708	$	(366)
Total liabilities	$	5,074	$	—	$	—	$	(366)	$	—	$	—	$	—	$	—	$	4,708	$	(366)
Six months ended June 30, 2022
Fixed maturities, available for sale
Corporate debt	$	42,894	$	—	$	—	$	—	$	(6,623)	$	37,231	$	—	$	(672)	$	72,830	$	—
	42,894		—		—		—		(6,623)		37,231		—		(672)		72,830		—
Other investments
CLO-Equities	5,910		—		—		1,675		—		—		—		(2,777)		4,808		1,675
Other privately held investments	104,521		—		—		(3,491)		—		16,940		—		(2,000)		115,970		(3,491)
	110,431		—		—		(1,816)		—		16,940		—		(4,777)		120,778		(1,816)
Total assets	$	153,325	$	—	$	—	$	(1,816)	$	(6,623)	$	54,171	$	—	$	(5,449)	$	193,608	$	(1,816)
Other liabilities
Derivative instruments	$	5,630	$	—	$	—	$	(922)	$	—	$	—	$	—	$	—	$	4,708	$	(922)
Total liabilities	$	5,630	$	—	$	—	$	(922)	$	—	$	—	$	—	$	—	$	4,708	$	(922)

(1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized gains (losses) relating to assets and liabilities held at the reporting date.

CHANGES IN LEVEL 3 FINANCIAL INSTRUMENTS MEASURED AT FAIR VALUE ON A RECURRING BASIS, LIABILITIES

The following table presents changes in Level 3 for financial instruments measured at fair value on a recurring basis:

	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included  in net income(1)		Included in OCI (2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses) (3)
Three months ended June 30, 2023
Fixed maturities, available for sale
Corporate debt	$	130,427	$	—	$	—	$	(3,304)	$	(1,354)	$	5,551	$	—	$	(2,274)	$	129,046	$	—
	130,427		—		—		(3,304)		(1,354)		5,551		—		(2,274)		129,046		—
Other investments
CLO-Equities	5,019		—		—		493		—		—		—		(635)		4,877		493
Other privately held investments	140,953		—		—		(6,231)		—		14,858		(34,532)		—		115,048		(14,314)
	145,972		—		—		(5,738)		—		14,858		(34,532)		(635)		119,925		(13,821)
Total assets	$	276,399	$	—	$	—	$	(9,042)	$	(1,354)	$	20,409	$	(34,532)	$	(2,909)	$	248,971	$	(13,821)
Other liabilities
Derivative instruments	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Total liabilities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Six months ended June 30, 2023
Fixed maturities, available for sale
Corporate debt	$	119,104	$	—	$	—	$	(3,311)	$	(170)	$	24,461	$	—	$	(11,038)	$	129,046	$	—
	119,104		—		—		(3,311)		(170)		24,461		—		(11,038)		129,046		—
Other investments
CLO-Equities	5,016		—		—		903		—		—		—		(1,042)		4,877		903
Other privately held investments	136,158		—		—		(5,895)		—		19,317		(34,532)		—		115,048		(13,976)
	141,174		—		—		(4,992)		—		19,317		(34,532)		(1,042)		119,925		(13,073)
Total assets	$	260,278	$	—	$	—	$	(8,303)	$	(170)	$	43,778	$	(34,532)	$	(12,080)	$	248,971	$	(13,073)
Other liabilities
Derivative instruments	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—
Total liabilities	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—	$	—

(1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized gains (losses) relating to assets and liabilities held at the reporting date.

	Opening balance		Transfers into Level 3		Transfers out of Level 3		Included  in net income(1)		Included in OCI(2)		Purchases		Sales		Settlements/ distributions		Closing balance		Change in unrealized gains/(losses)(3)
Three months ended June 30, 2022
Fixed maturities, available for sale
Corporate debt	$	60,890	$	—	$	—	$	—	$	(3,828)	$	15,768	$	—	$	—	$	72,830	$	—
	60,890		—		—		—		(3,828)		15,768		—		—		72,830		—
Other investments
CLO-Equities	4,881		—		—		803		—		—		—		(876)		4,808		803
Other privately held investments	115,474		—		—		(5,110)		—		7,606		—		(2,000)		115,970		(5,110)
	120,355		—		—		(4,307)		—		7,606		—		(2,876)		120,778		(4,307)
Total assets	$	181,245	$	—	$	—	$	(4,307)	$	(3,828)	$	23,374	$	—	$	(2,876)	$	193,608	$	(4,307)
Other liabilities
Derivative instruments	$	5,074	$	—	$	—	$	(366)	$	—	$	—	$	—	$	—	$	4,708	$	(366)
Total liabilities	$	5,074	$	—	$	—	$	(366)	$	—	$	—	$	—	$	—	$	4,708	$	(366)
Six months ended June 30, 2022
Fixed maturities, available for sale
Corporate debt	$	42,894	$	—	$	—	$	—	$	(6,623)	$	37,231	$	—	$	(672)	$	72,830	$	—
	42,894		—		—		—		(6,623)		37,231		—		(672)		72,830		—
Other investments
CLO-Equities	5,910		—		—		1,675		—		—		—		(2,777)		4,808		1,675
Other privately held investments	104,521		—		—		(3,491)		—		16,940		—		(2,000)		115,970		(3,491)
	110,431		—		—		(1,816)		—		16,940		—		(4,777)		120,778		(1,816)
Total assets	$	153,325	$	—	$	—	$	(1,816)	$	(6,623)	$	54,171	$	—	$	(5,449)	$	193,608	$	(1,816)
Other liabilities
Derivative instruments	$	5,630	$	—	$	—	$	(922)	$	—	$	—	$	—	$	—	$	4,708	$	(922)
Total liabilities	$	5,630	$	—	$	—	$	(922)	$	—	$	—	$	—	$	—	$	4,708	$	(922)

(1) Realized gains (losses) on fixed maturities and realized and unrealized gains (losses) on other assets and other liabilities included in net income are included in net investment gains (losses). Realized and unrealized gains (losses) on other investments included in net income are included in net investment income.

(2) Unrealized gains (losses) on fixed maturities are included in other comprehensive income ("OCI").

(3) Change in unrealized gains (losses) relating to assets and liabilities held at the reporting date.